This study applies machine learning models to explore the predictive power of ten categories of financial indicators in Chinese stock market. Meanwhile, we assess whether influential financial indicators cluster into specific categories that hold greater importance for stock return prediction....

In this study, we adjust the hierarchical risk parity (HRP) model by introducing hierarchical information on assets to help manage portfolio risk. The adjusted HRP model with hierarchical information considers both correlation and hierarchical information. Compared with other models, the HRP...

This paper tests whether value-at-risk has a negative relationship with expected equity returns in China; specifically, we investigate left-tail return momentum. The findings reveal that left-tail momentum is significant during high economic policy uncertainty (EPU) periods. Moreover, when the...